Coming (Relatively) Soon: 3 Treasury Repo Benchmarks

On May 24, 2017 the Federal Reserve Bank of New York (FRBNY) published an update on their efforts to create and publish three Treasury repo benchmarks. The FRBNY had previously announced its efforts to create such benchmarks in November 2016 (see our prior post here). The update announced changes to the contemplated make-up of the benchmarks. First, FICC-cleared bilateral Treasury repo will be included in the broadest benchmark but will be “trimmed” to limit the influence of special transactions (e.g. on demand individual Treasury CUSIP). Second, data from Federal Reserve open market transactions will be excluded from all benchmarks. Lastly, only tri-party data from Bank of New York Mellon will be included.

Accordingly, as stated in the update the benchmarks will consist of the following: